Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
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Publication:5227410
DOI10.1137/18M1178542zbMath1422.91806MaRDI QIDQ5227410
Publication date: 26 July 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
open-loop equilibriumdynamic inconsistencyrobust utility maximizationalpha-maxmin expected utilitysystem of quadratic BSDE
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)
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